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4.
12. A forward contract is an agreement to purchase or sell an underlying equity at a future date at
today’s predetermined price; these are OTC contracts. Futures are their exchange-traded
equivalents with standardised maturities and lot size, where daily fluctuations in contract price
must be settled by the relevant counterparties (marked-to-margin).
13. Forwards and futures are also called “delta-one products” because the change in their price is
equal to the change of underlying asset’s price. For market risk hedging purposes, this
implies that they may be hedged with one unit of the underlying asset.
CBAN - Esta parte não exemplifica nem especifica como construir curvas para ativos / vencimentos
ilíquidos. Acho que esse é o principal ponto aqui e ficou de fora.
PARÁGRAFO 14 - Equity Swaps
14. An equity swap is a contract where a set of future cash flows are agreed to be exchanged
between two counterparties at set dates in the future. In an equity swap one of the legs is
usually pegged to a floating rate such as LIBOR and the other leg is based on the price of
either a specific share or a stock market index. In some cases an equity swap can have two
equity legs instead of one being a floating rate.
CBAN - não fala de eventos corporativos e seu tratamento. Inclusão de dividend yield na ponta do equity
ou não? No caso brasileiro isso dá impacto na tributação, dado que swap é fonte. Pagamento de
dividendos, bonificações, JSCP, etc deveriam ou não ser incorporados na curva e precificação? Como
fazer com eventos ex-post?
PARÁGRAFOS 15, 16, 17, 18: Options
15. An option is a contract which gives the holder the right, but not the obligation, to buy or sell an
underlying asset at a specified price, called the strike price, on or before a specified date. The buyer of an
option pays a premium to the seller for this right. An option which gives the right to buy something at a
specific price is called a call; an option which gives the right to sell something at a specific price is called a
put. An option may be in respect of a single asset or a basket of different assets when an investor wants
exposure to a particular industry, or to hedge or diversify across several industries.
16. The option holder will choose to exercise a call option when the market price of a stock is above the
strike price of his contract and exercise a put option when the market price is below his strike price. An
example is where an investor pays $1 for a call option to buy one share in a company with a strike price
of $20 in three months’ time. If the market price is $25 in three months’ time the investor will exercise
the option and the payoff will be $4 ($25 - $20 - $1). If the market price were below $20 the investor
would choose not to exercise and will have lost the premium of $1. If the price is greater than $20 and
less than $21, for example $20.50, exercising the option will reduce the loss to $0.50.

5.
17. Where the option relates to multiple assets, there are a numerous permutations of possible
payoff but some straightforward examples include:
• Best-of or worst-of – where the payoff depends on the best/worst relative performance of the assets in
the basket.
• Knock-out components – not to be confused with barrier options, where certain assets are removed
from featuring in the payoff over the life of the option.
• Exchange options – where the holder has the right to exchange one asset for another in predefined
proportions.
18. There is a wide variety different option types. Some of the more common are described below. The
majority of OTC options traded will either be one of types listed or a combination of two or more.
• European – the holder may exercise the option only on its date of maturity.
• American – the holder may exercise the option at any point up to and including maturity. These are
generally more valuable than European options as the holder has more rights but holder has to
determine when it is most advantageous to exercise.
• Bermudan – exercise is only possible at a certain number of dates up to maturity.
• Asian – instead of depending on the underlying asset price at a single time, the payoff depends on the
average price. The averaging period may be over the entire life of the contract or just a portion.
• Digital/Binary – the payoff is either a fixed sum or zero.
• Barriers – here a standard payoff is coupled with a separate knock-in/out barrier that may be observed
at particular points or throughout the life of the trade, which triggers whether or not the payoff is
received.
• Lookbacks – the payoff depends on the minimum and/or maximum performance of the equity over the
life of the option.
• Range accruals – variations on barrier options, where the payoff depends on the cumulative period an
underlying asset has spent within a certain range.
• Forward-starts – certain features of the option (for example, the strike) are fixed at a future point in
time, dependent on the performance of the underlying equity.
• Cliquets – these are portfolios of consecutive forward-starting options, for example, eight three-month
call options, covering a two-year period. The strike for each subsequent contract is set once the previous
contract matures, and there may be local and/or global caps or floors on the total payoff.
CBAN - Opções:
o Falta um tratamento mais adequado e referências a stock options de executivos
em carteira proprietária de empresas. Normalmente hoje se precificam por modelos
binomiais ou método de diferenças finitas, mas é preciso fazer menção a estes casos,
pois acho que é onde está o maior problema de divergência de critérios e falta de
conhecimento / balizamento. Fundos, corretoras e bancos tem controles bons já e
profissionais + regulação para discernir entre uma boa e uma má metodologia em cada
cenário. O que acho que precisa ser feito é orientar melhor o público de fora, que precisa
do cálculo, mas não tem a experiência de mercado.